BX Options History — May 2008 In May 2008, BX traded between $18.54 and $20.54. ATM implied volatility averaged 49.5%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 10.8% (HV 20d: 38.7%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.63.
Notable Days 2008-05-27 : Highest Volume — 30,212 contracts2008-05-15 : Largest IV drop — 55.5% change2008-05-14 : Highest IV Rank — 100.0%2008-05-02 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $19.42 $18.54 $20.54 $19.51 $19.47 Max Pain $22.02 $17.50 $22.50 $17.50 $22.50 ATM IV 49.5% 35.7% 89.3% 45.6% 35.7% Expected Move 12.1% 10.2% 13.6% 13.1% 10.2% HV 20d 38.7% 36.0% 41.5% 41.5% 38.6% HV 60d 52.8% 52.1% 53.3% 52.7% 52.4% IV Rank 31.1% 6.6% 100.0% 24.3% 6.6% IV Percentile 46.2% 6.1% 100.0% 41.9% 6.1% Term Structure -0.4% -5.8% 3.6% -4.3% 1.4% VWIV 44.0% 37.0% 54.4% 46.0% 37.0% Skew 25d 4.5% 0.4% 7.2% 2.9% 3.9% Skew 10d 10.4% 0.5% 21.8% 0.8% 0.5% Call IV 25d 42.0% 37.1% 47.3% 46.4% 38.1% Put IV 25d 46.5% 40.9% 53.3% 49.2% 42.0% Bid-Ask Spread % 10.73 5.18 20.98 14.74 7.04 Gamma HHI 0.25 0.15 0.66 0.31 0.19 Net GEX 470.5K 80.9K 3.1M 453.3K 246.6K Net DEX -29.3M -75.0M -371.2K -37.0M -24.6M Net VEX -760.8K -818.6K -724.0K -771.0K -754.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.05 2.79 0.32 0.20 Total Volume 8,618.524 2,128 30,212 10,742 8,720 Total OI 240,538.81 227,985 250,555 234,143 238,916
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-05-01 $19.51 $17.50 45.6% 13.1% 41.5% 24.3% 46.0% 2.9% -4.3% 453.3K -37.0M -771.0K 0.32 14.74 N/A N/A 8,168 2,574 111,662 122,481 2008-05-02 $20.22 $17.50 47.4% 13.6% 40.0% 27.6% 47.3% 6.1% -5.8% 493.3K -57.1M -818.6K 0.62 14.14 N/A N/A 8,371 5,202 116,632 124,219 2008-05-05 $19.71 $22.50 50.5% 12.3% 40.6% 33.1% 44.9% 4.9% -1.1% 435.8K -45.9M -797.6K 0.56 20.98 N/A N/A 1,367 761 118,851 125,957 2008-05-06 $19.47 $22.50 51.7% 12.5% 39.6% 35.2% 44.0% 5.9% -2.0% 373.3K -37.4M -785.3K 0.33 12.31 N/A N/A 3,611 1,179 118,875 126,277 2008-05-07 $19.34 $22.50 56.1% 12.8% 39.7% 43.1% 47.4% 6.3% -1.6% 412.6K -34.2M -780.3K 0.38 13.10 N/A N/A 3,026 1,155 118,524 126,614 2008-05-08 $19.02 $22.50 56.5% 12.9% 39.7% 43.7% 47.2% 4.9% -0.9% 415.3K -23.5M -767.8K 0.58 10.68 N/A N/A 3,054 1,757 118,549 126,672 2008-05-09 $18.80 $22.50 60.7% 13.3% 38.5% 51.3% 48.8% 5.0% -2.2% 356.0K -20.7M -768.6K 0.93 10.37 N/A N/A 1,534 1,427 119,290 126,877 2008-05-12 $18.97 $22.50 69.5% 12.9% 36.2% 67.1% 45.5% 7.2% -0.6% 430.4K -23.2M -753.8K 1.32 11.42 N/A N/A 975 1,285 119,145 127,496 2008-05-13 $19.05 $22.50 78.4% 12.9% 36.2% 82.9% 46.5% 6.7% -1.4% 413.3K -25.8M -760.7K 0.50 7.97 N/A N/A 1,953 977 119,462 128,009 2008-05-14 $19.50 $22.50 89.3% 13.3% 36.5% 100.0% 47.9% 3.8% -3.0% 464.7K -45.2M -778.9K 0.30 8.15 N/A N/A 10,400 3,162 120,140 127,875 2008-05-15 $20.54 $22.50 39.8% 11.4% 36.2% 13.6% 39.7% 4.0% 1.9% 1.1M -75.0M -754.7K 0.44 20.72 N/A N/A 14,036 6,174 121,103 127,659 2008-05-16 $20.11 $22.50 38.3% 11.0% 36.8% 11.0% 38.5% 5.4% 3.6% 3.1M -56.6M -760.6K 1.27 6.85 N/A N/A 9,223 11,759 123,041 127,514 2008-05-19 $20.23 $22.50 37.4% 10.7% 36.1% 9.5% 38.5% 5.9% 1.3% 81.7K -32.7M -755.7K 0.32 7.25 N/A N/A 2,500 801 107,492 120,493 2008-05-20 $20.27 $22.50 38.6% 11.1% 36.0% 11.5% 38.6% 5.9% 1.2% 80.9K -32.4M -759.1K 0.18 7.64 N/A N/A 4,659 861 107,598 120,640 2008-05-21 $19.33 $22.50 40.2% 11.5% 39.9% 14.4% 40.8% 1.1% 0.4% 177.2K -15.0M -734.9K 0.35 7.61 N/A N/A 4,389 1,553 110,733 120,840 2008-05-22 $19.16 $22.50 40.6% 11.6% 40.0% 15.0% 43.2% 2.8% 1.0% 167.2K -12.3M -746.5K 0.60 8.53 N/A N/A 2,413 1,444 112,429 121,330 2008-05-23 $18.54 $22.50 43.5% 12.5% 39.8% 20.2% 45.7% 6.0% 0.5% 141.5K -1.8M -732.1K 2.79 9.37 N/A N/A 2,529 7,062 112,840 121,608 2008-05-27 $18.91 $22.50 40.9% 11.7% 40.3% 15.7% 54.4% 0.4% 0.6% 223.6K -4.7M -739.7K 0.05 12.65 N/A N/A 28,665 1,547 113,561 126,364 2008-05-28 $18.66 $22.50 42.5% 12.2% 40.5% 18.3% 42.0% 3.7% 1.3% 133.1K -371.2K -732.2K 0.98 5.18 N/A N/A 1,225 1,197 111,175 126,796 2008-05-29 $19.05 $22.50 37.2% 10.7% 41.0% 9.2% 39.3% 1.5% 2.3% 180.6K -9.4M -724.0K 0.25 8.56 N/A N/A 6,649 1,645 110,955 124,621 2008-05-30 $19.47 $22.50 35.7% 10.2% 38.6% 6.6% 37.0% 3.9% 1.4% 246.6K -24.6M -754.8K 0.20 7.04 N/A N/A 7,291 1,429 113,621 125,295
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